What are the advantages and disadvantages of different ways of obtaining Blender?
Windows Installers

These are useful if you want to have a version of Blender installed system-wide, accessible easily to all users. These will probably install start menu or other shortcuts and be neither installable nor removable by non-administrator users. Blender appears to be available in .msi packages. Although I don't know much about how that type of package is used, 50 seconds of reading the Wikipedia .msi article makes me think that it is sort of like Windows' own native package manager but without repositories. Blender is also available as a self-installing executable, which to an end user should be functionally equivalent to the .msi packages.

Portable pre-compiled archives (Linux and Windows)

These are very useful if you want to use multiple versions of Blender without installing any or all of them. These archives are portable and can be moved between computers on the likes of removable storage without interfering with possible existing versions of Blender. Administrative access to the system should not be required to use these.

OS X

OS X handles applications quite a bit differently from other systems. Many applications, including Blender, are directories suffixed with .app containing a directory tree with the program's executables along with any additional libraries or resources that are not shared with other applications. Usually these bundles are kept in /Applications, but they can be renamed, moved, and used anywhere much like the archives mentioned above.

Package Managers (Unix-like systems)

Many Linux distributions have pre-compiled binary packages of Blender that are distributed through repositories and installed with the distribution's package management system. They have the advantage of being automatically upgradable, although the usefulness of that depends on how quickly a particular distribution updates their Blender package and/or how up-to-date of a version of Blender you require. Like with Windows, this is a good way to make one version of Blender available to all users of a system. Gentoo Linux and the BSDs have similar systems with automatic upgrading and such, but the main difference is that they compile applications "on demand" when they're installed rather than using precompiled packages. Configured properly, this has the obscure benefit of compiling Blender with optimizations specific to your CPU, which might improve performance a bit.

Steam

Steam? I literally had to go to their website to have any idea what it was, so take this with some salt. As far as I can tell, it's a cross-platform software distribution system with a focus on games. I assume that Steam shares the advantage of automatic updating with package managers. If you use Steam for other software, I can see that it would perhaps be convenient to use Blender from it as well, but since there are so many other ways to install Blender, I can't imagine using Steam just for that purpose.